Average daily returns

The following table shows the average return since 1984 of the Nikkei 225 Index for each day of the year. For example, over the last 30 years the average daily return for the Nikkei 225 on 4 January has been 0.38%.

In the table, positive average daily returns are coloured green, while negative average returns are coloured red. Daily returns are highlighted dark green (red) for large positive (negative) returns. (See below for the definition of large.)

OBSERVATIONS:

The day with the greatest number of large positive average returns is the 25th of the month.

Five days of the month have no large positive average returns: 11th, 16th, 18th, 22nd, 24th

The month with the greatest number of large positive average daily returns is March.

The month with the greatest number of large negative average daily returns is September; while December is the only month with no large negative average daily returns.

The longest period of the year with no large negative average daily returns is 20 November to 7 Jan.

Positive daily returns

The following chart is similar to the above, except this shows the proportion of positive returns for each day of the year. For example, since 1984 67% of the Nikkei 225 Index returns on 4 January have been positive.

Definition of large

Values are highlighted as large if they are more than 1 standard deviation from the average. For example, for the daily returns in the first chart the average daily return (for all days) is 0.02% and the standard deviation 0.33, so values are highlighted if they are above 0.35% (0.02 + 0.33) or below -0.31% (0.02 – 0.33).

The following chart plots the average daily returns for the 31 calendar days in a month for the S&P 500 index over the period 1950-2015. (NB. This is looking at calendar – not trading – days of the month.) For example, since 1950, the S&P 500 index has on average increased 0.22% on the 1st day of each month.

Observations

The first day of each month has the highest average daily return for the S&P 500 index. Followed by the last day of the month.

The worst average daily return has been on the 9th of the month

As can be seen in the chart, the periods of strongest daily returns occur in the first and last weeks of months.

Three particular phases of the month can be highlighted:

Phase 1 (1st-6th): the index sees positive daily returns

Phase 2 (18th-22nd): the index sees negative daily returns

Phase 3 (26th-31st): the index sees positive daily returns

The chart below replicates that above, but highlights these three phases of months.

This article concerns the daily returns for the S&P 500 Index from 1950.

Average daily returns

The following table shows the average return since 1950 of the S&P 500 Index for each day of the year. For example, over the last 65 years the average daily return for the S&P 500 Index on 2 January has been 0.29%.

In the table, positive average daily returns are coloured green, while negative average returns are coloured red. Daily returns are highlighted dark green (red) for large positive (negative) returns. (See below for the definition of large.)

Observations:

The day with the greatest number of large positive average returns is the 1st of the month followed by the 15th.

Two days of the month, 7th and 8th, have no large positive average returns.

The month with the greatest number of large positive average daily returns is Novermber, while February and June have none at all.

There appears to be a concentration of large negative average daily returns from the 20th to 25th of months.

The longest period of the year with no large negative average daily returns is 15 Dec to 7 Jan.

The month with the greatest number of large negative average daily returns is September.

Positive daily returns

The following chart is similar to the above, except this shows the proportion of positive returns for each day of the year. For example, since 1950 61% of the S&P 500 Index returns on 2 January have been positive.

Definition of large

Values are highlighted as large if they are more than 1 standard deviation from the average. For example, for the daily returns in the first chart the average daily return (for all days) is 0.04% and the standard deviation 0.16, so values are highlighted if they are above 0.20% (0.04 + 0.16) or below -0.12% (0.04 – 0.16).

The following chart plots the average daily returns for the 31 calendar days in a month for the FTSE 100 index over the period 1984-2015. For example, since 1984, the FTSE 100 index has on average increased 0.27% on the 1st day of each month.

Observations

The first day of each month has the highest average daily return for the FTSE 100 index. Followed closely by the second day of the month.

The worst average daily return has been on the 20th of the month

As can be seen in the chart, the periods of strongest daily returns occur in the first and final weeks of months.

The pattern of daily returns in months divides into five (rather surprisingly precise) phases:

Phase 1 (1st-6th): the index sees positive daily returns

Phase 2 (7th-12th): the index sees negative daily returns

Phase 3 (13th-18th): the index sees positive daily returns

Phase 4 (19th-23rd): the index sees negative daily returns

Phase 5 (24th-31st): the index sees positive daily returns

The chart below replicates that above, but highlights the positive daily return phases of a month.

This article concerns the daily returns for the FTSE 100 Index from 1984.

Average daily returns

The following table shows the average return since 1984 of the FTSE 100 Index for each day of the year. For example, over the last 31 years the average daily return for the FTSE 100 Index on 2 January has been 0.37%.

In the table, positive average daily returns are coloured green, while negative average returns are coloured red. Daily returns are highlighted dark green (red) for large positive (negative) returns. (See below for the definition of large.)

Observations:

The periods of greatest relative strength for daily returns (i.e. clusters of dark green cells in the table) would appear to be the first couple of days of each month, and the second part of December.

Conversely, the period of greatest relative weakness for daily returns (i.e. clusters of dark red cells in the table) would appear to be the five-days of 20th to 24th of each month (except December).

The day of the month with the greatest number of large positive returns is the 1st; while the greatest number of large negative returns is the 22nd.

Positive daily returns

The following chart is similar to the above, except this shows the proportion of positive returns for each day of the year. For example, since 1984 56% of the FTSE 100 Index returns on 2 January have been positive.

Definition of large

Values are highlighted as large if they are more than 1 standard deviation from the average. For example, for the daily returns in the first chart the average daily return (for all days) is 0.03% and the standard deviation 0.24, so values are highlighted if they are above 0.27% (0.03 + 0.24) or below -0.21% (0.03 – 0.24).